| Summary: | 碩士 === 佛光大學 === 管理學系 === 99 === From Taiwan exporters’ point of view, this paper studies NT dollars to US dollars foreign exchange hedging by using forward foreign exchange contracts which Taiwanese enterprise often use as hedging tools, based on the theory of portfolio hedge’s Minimum Variance Model (M-V Model) and selective hedging, applying spread regression model and Generalized AutoRegressive Conditional Heteroskedasticity(GARCH) model configuration to estimate hedge ratios and compare different hedge-day period on a regular basis and the hedge performance of different US dollar devaluation selective hedge, to analyze the optimal hedge timing. According to the empirical results, for 30-day foreign exchange forward contracts, 0.75% US dollar devaluation gives the optimal hedge performance, the average rate of return is 0.0036%, regular hedge gives the worst performance, the average rate of return is -0.0772%; for 60-day foreign exchange forward contracts, it is also 0.75% US dollar devaluation that gives the optimal hedge performance, the average rate of return is 0.1340%, regular hedge gives the worst performance, the average rate of return is -0.0912%; for 90-day foreign exchange forward contracts, 1% US dollar devaluation gives the optimal hedge performance, the average rate of return is 0.1345%, regular hedge gives the worst performance, the average rate of return is -0.0726%; for 180-day foreign exchange forward contracts, it is also 1% US dollar devaluation that gives the optimal hedge performance, the average rate of return is 0.1118%, regular hedge gives the worst performance, the average rate of return is -0.1317%. Overall, except for the above optimal hedge performance timing, the selective hedge at 60 and 90-day hedge timing, hedge return rate are all positive, and the regular hedge of average return rate at each day-period are all negative. It shows that forward foreign exchange contracts hedge should adopt selective hedge method, and is better within 60 or 90 day-period.
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